Quantitative Analyst – Credit Portfolio Management recruitment
The department is responsible for analysing and actively managing the portfolio, and the role of the quantitative analyst will be to support the front office in the following ways:
Amending/customising the Moody's Analytics portfolio/credit economic capital model as required
Developing facility pricing models for use in transaction assessment and transfer pricing
Developing market derived parameters for use in the portfolio risk model and the facility pricing models
Developing portfolio optimisation tools
Working with Risk on exposure quantification for portfolio/economic capital modelling, including callable facilities and complex collateralised derivatives
Providing general quantitative resources to the group's Portfolio Management, Capital Management and Ratings Management functions as required
Experience required:
The ideal candidate may have a minimum of 4-5 years experience in a directly relevant role within a bank or fund manager
Experience should be in one of the following areas: quantitative credit risk, market risk, portfolio management, pricing
Experience using or designing a credit portfolio model is extremely useful
Excellent academic qualifications in relevant quantitative subject to MSc or PhD level
Strong programming skills in VBA and SQL essential, and in C++ an advantage
Understanding of products used in the bank, including loans derivatives. Detailed knowledge of traded credit products particularly CDS and the traded tranche market
Excellent detailed knowledge of all aspects of credit risk modelling including modelling PD term structures, modelling EADs for derivatives, credit spread optionality, portfolio risk and risk attribution, portfolio optimisation.